Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1402 |
| Annualized Std Dev | 0.2703 |
| Annualized Sharpe (Rf=0%) | 0.5188 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2897.0000 |
| NAs | 1.0000 |
| Minimum | -0.1720 |
| Quartile 1 | -0.0056 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0007 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0069 |
| Maximum | 0.1727 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0013 |
| Variance | 0.0003 |
| Stdev | 0.0170 |
| Skewness | -0.0118 |
| Kurtosis | 20.4667 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0120 |
| Gain Deviation | 0.0134 |
| Loss Deviation | 0.0139 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.4296 |
| Historical VaR (95%) | -0.0212 |
| Historical ES (95%) | -0.0401 |
| Modified VaR (95%) | -0.0204 |
| Modified ES (95%) | -0.0204 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-18 | 2020-03-23 | NA | -0.4296 | 276 | 25 | NA |
| 2008-12-22 | 2009-03-04 | 2009-08-04 | -0.3798 | 106 | 23 | 83 |
| 2011-07-25 | 2011-08-08 | 2012-02-03 | -0.2154 | 133 | 11 | 122 |
| 2015-01-28 | 2016-02-11 | 2016-06-30 | -0.1954 | 322 | 240 | 82 |
| 2013-05-22 | 2013-08-19 | 2014-08-13 | -0.1898 | 302 | 62 | 240 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.1 | 2.1 |
| 2009 | 0.7 | -6.2 | -3.3 | -3.9 | 6.8 | 1.6 | -0.1 | -4.7 | -2.6 | -1.6 | 1.1 | -0.3 | -12.4 |
| 2010 | -0.7 | 2.1 | -0.3 | -3 | -0.7 | -0.6 | 0.3 | 2.6 | 0.6 | 0.8 | 0.6 | -0.7 | 0.9 |
| 2011 | 0.5 | -2.9 | -0.1 | -0.7 | -2.9 | 1.7 | -1.3 | -1.3 | -1.6 | -3.9 | -1.5 | 0 | -13.2 |
| 2012 | 0.7 | 0.2 | -0.1 | 1.8 | -2.8 | 3.7 | 0 | 0.4 | -0.9 | 0.7 | 0.4 | 0.1 | 3.9 |
| 2013 | 0.4 | 0 | 0.1 | 0 | -0.5 | -1.2 | 0 | 0 | 1.9 | 0 | -0.8 | -0.4 | -0.5 |
| 2014 | 0.7 | 0.7 | -0.3 | 0.3 | 0.4 | 0.6 | -0.7 | 0.5 | -0.2 | 0.9 | -0.4 | 0.2 | 2.7 |
| 2015 | -1.6 | 0.8 | 0 | 0.5 | 1 | 0.1 | 0.6 | -2.2 | 2.1 | -0.4 | 1.2 | -0.6 | 1.6 |
| 2016 | 0.6 | 1.5 | -0.1 | -2.1 | -0.2 | 1 | 0.2 | -0.1 | -0.7 | -1.1 | -1.1 | -0.9 | -2.9 |
| 2017 | -0.6 | 0 | 0.4 | -0.1 | 0.4 | -0.2 | 0.5 | 0.3 | 0.6 | 0.1 | -0.2 | 0.3 | 1.7 |
| 2018 | 0.1 | -1.3 | -0.2 | -0.2 | 0 | 0.3 | -0.2 | 0 | -0.1 | -0.2 | -0.3 | 0.6 | -1.3 |
| 2019 | -0.6 | -0.3 | 0 | 0.2 | 0.6 | -0.1 | -0.2 | 0.2 | -0.7 | -0.2 | -0.4 | 0.8 | -0.8 |
| 2020 | -1.1 | -3.1 | -6.9 | -3.7 | 2.4 | 2.4 | -0.4 | -0.2 | 1.8 | -1.1 | 1.2 | 1.1 | -7.7 |
| 2021 | 2 | 0.1 | -1.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
